Does the January effect anomaly still exist at Indonesia Stock Exchange ?

The purpose of this study was to determine whether the January effect phenomenon occurred in the LQ45 Stock Index, IHSG and JII on the Indonesia Stock Exchange. The January Effect phenomenon is one of the market anomalies, which states that stock returns in January tend to be higher compared to other months of the year. The January effect occurs because of tax-loss selling, window dressing, and stock's beta. The population of this research is the stock index in the Indonesia Stock Exchange. The research sample consisted of three selected using the complex probability sampling method with a systematic sampling design, namely the three leading indexes with a 6-year observation period. The results showed that the January effect phenomenon did not exist in the LQ45, IHSG, and JII stock indexes in the 2012-2017 period. Conclusion: the January effect does not exist at IDX with the lower magnitude of the anomaly effect, the efficiency of asset prices in the market is getting better because the market absorbs all information. In exchange perspective, daily trading volume intensity was getting lower in some recent years, especially in the two last week of January. This study has identified the effect of market microstructure, such as bid-ask spread and lower trading volume.